A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.
The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U.S. and three European countries (France, Germany and U.K.) before and during the nancial BEKK GARCH model, we analyze the return and volatility spillover eects between the Moroccan market and the other considered markets. Moreover, the identication of break point due to the subprime crisis is made by Lee-Strazicich (2003 and Bai-Perron (1998 structural break tests. The empirical ndings provide clear evidence of stronger linkages between the Moroccan market and the four other considered stock markets have been created during the subprime nancial crisis period.
With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).
With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).
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